contemplated by institutions, which projects loan losses using time-series econometric models, for an aggregated "average" bank … alternative CECL modeling approaches, and we further quantify the level of model risk using the principle of relative entropy … empirical analysis has some potentially profound policy and model risk management implications. Specifically, implementation of …

study contributes to the literature by providing expert guidance to credit risk modeling, model validation and supervisory … practitioners in controlling the model risk associated with such modeling efforts. …

new Basel III Accord to counter excessive bank risk-taking behavior. However, prior theoretical as well as empirical … literature that studies the impact of risk-based capital requirements on bank risk-taking behavior is inconclusive. The primary … purpose of this paper is to examine the impact of risk-based capital requirements on bank risk-taking behavior, using a panel …